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Quantitative Finance · Begrippenlijst

Wat is Pinging order?

Definition 9.7 Microstructure and Execution · Hoofdstuk 9 — Dark Pools and Blocks

A pinging order is a small immediate-or-cancel order sent to a dark venue to detect hidden liquidity: a fill reveals a resting contra order at that price, and repeated fills reveal a large one.

A 20 000-share buy worked four ways in the simulated market: shortfall against the arrival mid (mean and standard error over sixteen seeds), and the two costs the simulation can account for exactly. Resting unprotected in the dark leaks more than trading on the lit book costs. Data: mx_dark.compare.
Figure 9.2. A 20 000-share buy worked four ways in the simulated market: shortfall against the arrival mid (mean and standard error over sixteen seeds), and the two costs the simulation can account for exactly. Resting unprotected in the dark leaks more than trading on the lit book costs. Data: mx_dark.compare.
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